Sax and Happy begin their search for Hailey, which takes them to a strip club in search of a disheveled looking Santa. In the past,Happy! Season 2 DVD Sax and McCarthy are revealed to be having an affair while Saxs wife Amanda is pregnant with Hailey. The pair both investigate a man who murdered his wife and young baby, which causes Sax to violently beat the man while McCarthy watches. McCarthy and Amanda work together to search for Hailey and speak with a couple who claim their daughter had been kidnapped. Amanda learns that the couple had hidden their daughter in the attic for what McCarthy believes to be media attention. Outside the club,Happy! Season 2 Sax is attacked by Very Bad Santa, who reveals that he can see Happy.